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A Glimpse of the KMT (1975) Approximation of Empirical Processes by Brownian Bridges via Quantiles

Author

Listed:
  • Miklos Csorgo

    (Carleton University, LRSP)

Abstract

We deduce a partial version of the KMT (1975) inequality for coupling the uniform empirical process with a sequence of Brownian bridges via the construction used by Cs¨org?o and R´ev´esz (CsR) (1978) for their similar coupling of the uniform quantile process with another sequence of Brownian bridges. These constructions are pivoted on the KMT (1975, 1976) inequalities for approximating partial sums by a Wiener process (Brownian motion).

Suggested Citation

  • Miklos Csorgo, 2006. "A Glimpse of the KMT (1975) Approximation of Empirical Processes by Brownian Bridges via Quantiles," RePAd Working Paper Series lrsp-TRS421, Département des sciences administratives, UQO.
    • Handle: RePEc:pqs:wpaper:092006
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    File URL: http://www.repad.org/ca/on/lrsp/TRS421.pdf
    File Function: First version, 2005
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    More about this item

    Keywords

    Empirical and quantile processes; Brownian bridge approximations; Hungarian construction.;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General

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